Lessons in Estimation Theory for Signal Processing, Communications, and Control, Second Edition

Lesson 6 Small-sample Properties of Estimators*

*This lesson was written using some suggestions and inputs from Dr. Georgios B. Giannakis, Department of Electrical Engineering, University of Virginia, Charlottesville, VA.

Summary

This lesson begins with a question: “How do we know whether or not the results obtained from the LSE, or for that matter any estimator, are good?” We learn that, to answer this question, we must make use of the fact that all estimators represent transformations of random data; hence, is itself random, so that its properties must be studied from a statistical viewpoint. This fact and its consequences, which seem so ...